Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0054
Annualized Std Dev 0.1935
Annualized Sharpe (Rf=0%) -0.0279

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1572
Quartile 1 -0.0047
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0050
Maximum 0.1635
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0122
Skewness -0.3454
Kurtosis 28.8586

Downside Risk

Close
Semi Deviation 0.0089
Gain Deviation 0.0095
Loss Deviation 0.0107
Downside Deviation (MAR=210%) 0.0135
Downside Deviation (Rf=0%) 0.0089
Downside Deviation (0%) 0.0089
Maximum Drawdown 0.5478
Historical VaR (95%) -0.0145
Historical ES (95%) -0.0292
Modified VaR (95%) -0.0141
Modified ES (95%) -0.0141
From Trough To Depth Length To Trough Recovery
2005-01-03 2009-03-09 2019-07-05 -0.5478 3651 1052 2599
2020-02-12 2020-03-23 NA -0.3986 279 28 NA
2002-04-25 2002-10-09 2004-12-20 -0.2874 670 117 553
1999-01-19 1999-12-31 2002-01-25 -0.2611 759 242 517
2019-09-25 2019-11-06 2020-02-11 -0.0647 96 31 65

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.6 -0.6 0 -0.6 -0.6 1.2 0.6 0 -0.6 1.3 -0.7 -0.7 -0.2
2000 0 0 0 -1.4 -0.7 1.3 1.3 0 0.6 -0.6 0.6 -0.6 0.6
2001 -0.7 0.7 -0.9 0.1 -0.5 0.3 0.2 0 1.5 0.9 1.2 0.2 2.9
2002 0.2 -0.3 -0.2 0.4 -0.5 -0.8 -1.4 0.4 -0.7 -0.6 0.5 -0.4 -3.2
2003 2.5 0.1 -0.1 -0.1 1.3 -0.5 -4 -0.4 -1.3 -0.4 -1.1 -0.8 -4.9
2004 0.3 0.4 -0.4 0 -0.9 0.1 0.3 -0.1 0.8 -0.1 -1 0.7 -0.1
2005 -0.1 0.2 -0.4 0.7 -0.4 0.3 0.3 -0.5 -0.1 -0.4 -1.7 0.6 -1.5
2006 -0.4 0 -0.2 -0.5 0.8 1 0.2 -0.1 0.4 -0.7 -0.1 -0.1 0.3
2007 -0.1 -0.5 0.2 -0.8 0.3 2.2 -0.2 -2.5 -0.5 -0.7 0.5 -0.3 -2.4
2008 0.2 1.6 -0.6 -0.1 -0.6 -4.8 0.7 0.5 0.4 1.9 -7.2 1.7 -6.5
2009 2.8 -2.2 0 0.1 -0.6 -0.3 1 -2.3 -1.9 -1.3 -0.6 -0.6 -5.7
2010 0.7 -0.7 0.5 0.3 -1.7 -0.4 0.8 1.1 -0.1 -0.7 0 0.6 0.2
2011 -0.1 1.4 -0.1 0 0 -0.4 1.3 0.4 0.5 -0.8 1.3 2.2 5.8
2012 0.8 -0.4 -1 -0.9 0.9 0.1 0.6 -1.2 -1.1 -0.4 -0.1 5.1 2.3
2013 -0.2 0.6 -0.1 -0.9 -1.8 -0.2 0.1 0.1 0 0 0.4 -0.5 -2.4
2014 0.6 0.7 -1 0.6 -1 -1 -1 0.2 -0.1 -0.3 -0.1 0.6 -1.7
2015 -0.6 -0.1 0.9 0.5 -0.5 0.8 0.7 -1.7 -0.3 1 0 0 0.5
2016 0 -1.2 0.3 -0.3 -0.1 -1 -0.7 -0.2 0.1 -0.4 0.3 -0.2 -3.4
2017 0.1 -0.1 0.4 -0.8 -1.2 -0.3 -0.4 -0.4 0.7 -0.2 0.2 0 -2
2018 -1.6 -0.5 0.2 -0.1 -0.6 -0.3 -0.6 -0.1 0.5 0.1 0.6 -0.3 -2.6
2019 -0.1 0.8 -0.6 -0.4 -0.8 -0.4 0.9 -0.1 -0.4 0.7 -0.2 -0.4 -1
2020 -0.5 -8.4 -5.6 -4.9 0.7 1.6 -0.5 -0.3 0.1 -0.9 0.4 0.1 -17.2
2021 -0.7 -0.2 0 NA NA NA NA NA NA NA NA NA -0.9

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart